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Numerical methods for Lévy processes
Hilber, N.; Reich, N.; Schwab, C.; Winter, C. - In: Finance and stochastics 13 (2009) 4, pp. 471-500
Persistent link: https://www.econbiz.de/10003899475
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Fast and accurate pricing of barrier options under Lévy processes
Kudryavtsev, Oleg; Levendorskiǐ, Sergei - In: Finance and stochastics 13 (2009) 4, pp. 531-562
Persistent link: https://www.econbiz.de/10003899529
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In which financial markets do mutual fund theorems hold true?
Schachermayer, Walter; Sîrbu, Mihai; Taflin, Erik - In: Finance and stochastics 13 (2009) 1, pp. 49-77
Persistent link: https://www.econbiz.de/10003939474
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Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices
Brigo, Damiano; Mercurio, Fabio - In: Finance and stochastics 4 (2000) 2, pp. 147-159
Persistent link: https://www.econbiz.de/10001486694
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Option pricing for pure jump processes with Markov switching compensators
Elliott, Robert J. R.; Osakwe, Carlton-James U. - In: Finance and stochastics 10 (2006) 2, pp. 250-275
Persistent link: https://www.econbiz.de/10003334921
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Superreplication when trading at market indifference prices
Bank, Peter; Gökay, Selim - In: Finance and stochastics 20 (2016) 1, pp. 153-182
Persistent link: https://www.econbiz.de/10011460049
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A risk-neutral equilibrium leading to uncertain volatility pricing
Muhle-Karbe, Johannes; Nutz, Marcel - In: Finance and stochastics 22 (2018) 2, pp. 281-295
Persistent link: https://www.econbiz.de/10011945712
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Local time, coupling and the passport option
Henderson, Vicky; Hobson, David G. - In: Finance and stochastics 4 (2000) 1, pp. 69-80
Persistent link: https://www.econbiz.de/10001486624
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A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary
Leblanc, Boris; Renault, Olivier; Scaillet, Olivier - In: Finance and stochastics 4 (2000) 1, pp. 109-111
Persistent link: https://www.econbiz.de/10001486629
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Superreplication in stochastic volatility models and optimal stopping
Frey, Rüdiger - In: Finance and stochastics 4 (2000) 2, pp. 161-187
Persistent link: https://www.econbiz.de/10001486701